Practical Yield, Price, Duration and Convexity Approximations

Practical techniques for approximating yield given the price and price given the yield are described. Duration and convexity estimations given prices and yields at three observation points are presented. Such approximations are useful when computing prices and yields from their values at nearby points and generating additional data for scenario analysis

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Year of publication:	2012
Authors:	Chertok, Daniel L.
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Theorie \| Theory \| Zinsstruktur \| Yield curve \| Dauer \| Duration

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